Package org.drip.simm.margin

Class SensitivityAggregateCR

java.lang.Object
org.drip.simm.margin.SensitivityAggregateCR
public class SensitivityAggregateCR
extends java.lang.Object
SensitivityAggregateCR holds the IM Margin Sensitivity Co-variances within a single Bucket for each of the CR Component Risk Factors. The References are:

  • Andersen, L. B. G., M. Pykhtin, and A. Sokol (2017): Credit Exposure in the Presence of Initial Margin https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2806156 eSSRN
  • Albanese, C., S. Caenazzo, and O. Frankel (2017): Regression Sensitivities for Initial Margin Calculations https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2763488 eSSRN
  • Anfuso, F., D. Aziz, P. Giltinan, and K. Loukopoulus (2017): A Sound Modeling and Back-testing Framework for Forecasting Initial Margin Requirements https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2716279 eSSRN
  • Caspers, P., P. Giltinan, R. Lichters, and N. Nowaczyk (2017): Forecasting Initial Margin Requirements - A Model Evaluation https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2911167 eSSRN
  • International Swaps and Derivatives Association (2017): SIMM v2.0 Methodology https://www.isda.org/a/oFiDE/isda-simm-v2.pdf
It provides the following Functionality:
  • SensitivityAggregateCR Constructor
  • Retrieve the Component Margin Covariance Map
  • Compute the Cumulative Margin Covariance
  • Compute the Cumulative Sensitivity Margin
  • Retrieve the Cumulative Margin Sensitivity

Module Portfolio Core Module
Library Initial and Variation Margin Analytics
Project Initial Margin Analytics based on ISDA SIMM and its Variants
Package ISDA SIMM Risk Factor Margin Metrics
Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    SensitivityAggregateCR​(java.util.Map<java.lang.String,​java.lang.Double> componentMarginCovarianceMap, double cumulativeMarginSensitivity)
    SensitivityAggregateCR Constructor

  • Method Summary

    Modifier and Type Method Description
    java.util.Map<java.lang.String,​java.lang.Double> componentMarginCovarianceMap()
    Retrieve the Component Margin Covariance Map
    double cumulativeMargin()
    Compute the Cumulative Sensitivity Margin
    double cumulativeMarginCovariance()
    Compute the Cumulative Margin Covariance
    double cumulativeMarginSensitivity()
    Retrieve the Cumulative Margin Sensitivity

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • SensitivityAggregateCR

      public SensitivityAggregateCR​(java.util.Map<java.lang.String,​java.lang.Double> componentMarginCovarianceMap, double cumulativeMarginSensitivity) throws java.lang.Exception
      SensitivityAggregateCR Constructor
      Parameters:
      componentMarginCovarianceMap - The Component Margin Co-variance Map
      cumulativeMarginSensitivity - The Cumulative Margin Sensitivity
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • componentMarginCovarianceMap

      public java.util.Map<java.lang.String,​java.lang.Double> componentMarginCovarianceMap()
      Retrieve the Component Margin Covariance Map
      Returns:
      The Component Margin Covariance Map

    • cumulativeMarginCovariance

      public double cumulativeMarginCovariance()
      Compute the Cumulative Margin Covariance
      Returns:
      The Cumulative Margin Covariance

    • cumulativeMargin

      public double cumulativeMargin()
      Compute the Cumulative Sensitivity Margin
      Returns:
      The Cumulative Sensitivity Margin

    • cumulativeMarginSensitivity

      public double cumulativeMarginSensitivity()
      Retrieve the Cumulative Margin Sensitivity
      Returns:
      The Cumulative Margin Sensitivity